OREANDA-NEWS. March 12, 2015. Fitch Ratings has affirmed Foncaixa Leasing 2 F.T.A.'s notes, as follows:

EUR536.0m Class A (ISIN ES0315661001): affirmed at 'A-sf', Outlook Stable
EUR172.5m Class B (ISIN ES0315661019): 'NRsf'

The transaction is a static EUR1.5bn portfolio of credit rights associated with leasing contracts originated by CaixaBank S.A. (BBB/Positive) in Spain. A large share of the portfolio was previously securitised by in Foncaixa Leasing 1, F.T.A, and has been refinanced in this transaction.

KEY RATING DRIVERS
Counterparty Exposure
CaixaBank continues to assume the key counterparty roles in the transaction (account bank and paying agent). Counterparty triggers of 'BBB'/'F2' have been defined within the documentation to mitigate any potential counterparty risk that could arise on the account bank provider. Fitch believes that the transaction triggers are sufficiently robust to support the current class A notes' rating of 'A-sf'.

Increased Credit Enhancement
The affirmation of the class A notes reflects the increasing credit enhancement due to deleveraging. The pool factor had reduced to 60% as of October 2014 from 78% at the last annual review. Credit enhancement for the senior notes had increased to 51% in January 2015 from 38% at the last review

Transaction Performance
Fitch has decreased the average annual probability of default of the portfolio to 4% from 5% based on the performance observed and the improved macro environment. 90d+ delinquencies are below 1% of the outstanding balance while cumulative defaults represent around 1% of the initial balance.

Unsecured recoveries
Fitch has continued to apply its unsecured recovery assumptions for the entire portfolio. This is because the SPV might not be able to enforce its contractual right over the liquidation value of the underlying real estate of some lease contracts, if CaixaBank defaults on its obligations. Under Spanish law, this right might become an unsecured claim against the insolvency estate of CaixaBank.

RATING SENSITIVITIES
Unexpected increases in the default rate and loss severity on defaulted loans could produce loss levels greater than the base case and could result in negative rating actions on the notes.

Rating Sensitivity to stressed Assumptions

Current base case: 'A-sf'
Increase default base case by 25%: 'A-sf'
Decrease recovery rate base case by 25%: 'A-sf'
Increase default base case by 25% and decrease recovery rate by 25% 'A-sf'